Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0036
Annualized Std Dev 0.2286
Annualized Sharpe (Rf=0%) 0.0155

Row

Daily Return Statistics

Close
Observations 3435.0000
NAs 1.0000
Minimum -0.2325
Quartile 1 -0.0037
Median 0.0006
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0047
Maximum 0.1464
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0144
Skewness -1.4966
Kurtosis 40.4106

Downside Risk

Close
Semi Deviation 0.0108
Gain Deviation 0.0107
Loss Deviation 0.0138
Downside Deviation (MAR=210%) 0.0150
Downside Deviation (Rf=0%) 0.0108
Downside Deviation (0%) 0.0108
Maximum Drawdown 0.6251
Historical VaR (95%) -0.0181
Historical ES (95%) -0.0355
Modified VaR (95%) -0.0173
Modified ES (95%) -0.0173
From Trough To Depth Length To Trough Recovery
2007-08-01 2009-03-09 2010-10-04 -0.6251 801 404 397
2013-05-13 2020-03-18 NA -0.5097 1979 1725 NA
2011-06-01 2011-08-08 2012-10-04 -0.2236 341 48 293
2012-10-08 2012-11-14 2013-03-13 -0.1309 106 26 80
2010-11-09 2010-12-15 2011-04-06 -0.1291 103 26 77

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA 0 -1.5 0.6 -0.7 1 -0.3 -1
2008 0.7 -0.1 2.6 1.3 1.6 1.3 2.5 1.8 9.2 -1.3 -3 1.3 19
2009 -1.5 -1.9 2.6 0 4.9 1.9 -1.2 0.3 0.1 -1.9 0.6 -0.2 3.7
2010 2.1 1.3 1.3 -0.6 0.3 -1 -0.3 -0.5 0.2 -0.1 0.9 0.8 4.4
2011 1 0.3 -0.1 0.1 -0.4 -0.4 2.8 0.6 -1.3 -1.5 0 0.3 1.4
2012 -0.1 0.6 -0.6 0.7 -1.8 0.3 -0.7 0.1 -0.5 0.5 -0.5 0.9 -0.8
2013 -0.2 -0.5 0 0 -1.7 0.6 0 -0.7 0.9 0.3 0.4 0 -0.9
2014 0 -0.2 0 -0.2 0 -0.4 -0.2 0 -0.1 0.1 -0.2 0.7 -0.7
2015 0 0.4 0.4 0.2 -0.4 0.4 0.3 -0.6 0.1 -0.5 1.1 1.3 2.6
2016 0.1 0.6 1.3 0.5 0.5 0.3 0.4 0 0.7 0.5 0.3 0.3 5.6
2017 0.1 0.1 0.2 0.3 0.4 0.4 0 0.2 0.4 0 -0.1 -0.3 1.7
2018 0.2 -0.3 0.5 -0.1 0 0.5 0.2 -0.4 1.2 0.6 0.3 -0.1 2.7
2019 0 -0.4 0.2 0.4 -0.5 1 0.1 1.6 0 1.1 -0.1 0.8 4.2
2020 0.4 -5.5 -4.3 -1.2 1.8 1.2 -0.1 0.1 1.5 -1.1 0.7 0.6 -5.8
2021 -0.1 0.6 -0.1 NA NA NA NA NA NA NA NA NA 0.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-07-27  20   SPY    145. -0.0197  -0.0547  -0.0352  -0.0296    0.144    0.322    0.728 GLD    65.4 -3.70e-3  -0.0321
2 2007-07-30  20   SPY    147.  0.0156  -0.0428  -0.0199  -0.0061    0.163    0.339    0.722 GLD    65.8  5.50e-3  -0.0252
3 2007-07-31  20.0 SPY    146. -0.0113  -0.0369  -0.0313  -0.0198    0.139    0.318    0.623 GLD    65.8  3.00e-4  -0.0249
4 2007-08-01  20   SPY    146.  0.0049  -0.0342  -0.0353  -0.0208    0.145    0.321    0.610 GLD    65.9  2.10e-3  -0.0145
5 2007-08-02  19.8 SPY    148.  0.008   -0.0028  -0.0311  -0.0183    0.160    0.329    0.619 GLD    65.9 -6.00e-4   0.0037
6 2007-08-03  19.6 SPY    144. -0.0257  -0.009   -0.0551  -0.0472    0.123    0.305    0.620 GLD    66.7  1.21e-2   0.0196
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart